Ah that explains it then, unfortunately tiled backgrounds only have box shaped collision masks. You can use a sprite and set it to invisible for the collision masks instead though and it won't cause noticeable latency.
To start, create them in the level editor for each tiled background, but once you're comfortable with events you can create and position them at each tiled background object during the start of a level.
Also, chapter 9 in the book has examples not covered in the main games such as editing collision masks if that helps <img src="smileys/smiley1.gif" border="0" align="middle" />
On spritesheets, you can right click in the frames pane of the Animator settings tab and click "Import frames" and select an image to import or use the additional options to split the image into separate tiles.
It has some advanced editing features before final import as well, such as choosing a custom background color to erase (colour mask), or rotating individual image/tile pieces.